Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3645
Annualized Std Dev 0.5230
Annualized Sharpe (Rf=0%) -0.6970

Row

Daily Return Statistics

Close
Observations 3247.0000
NAs 1.0000
Minimum -0.2742
Quartile 1 -0.0179
Median -0.0022
Arithmetic Mean -0.0013
Geometric Mean -0.0018
Quartile 3 0.0143
Maximum 0.2423
SE Mean 0.0006
LCL Mean (0.95) -0.0024
UCL Mean (0.95) -0.0001
Variance 0.0011
Stdev 0.0329
Skewness 0.1821
Kurtosis 6.6553

Downside Risk

Close
Semi Deviation 0.0228
Gain Deviation 0.0249
Loss Deviation 0.0230
Downside Deviation (MAR=210%) 0.0281
Downside Deviation (Rf=0%) 0.0235
Downside Deviation (0%) 0.0235
Maximum Drawdown 0.9989
Historical VaR (95%) -0.0500
Historical ES (95%) -0.0772
Modified VaR (95%) -0.0493
Modified ES (95%) -0.0647
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-12 NA -0.9989 2787 2781 NA
2008-10-28 2008-11-04 2008-11-19 -0.3341 17 6 11
2008-01-23 2008-09-19 2008-10-06 -0.3141 179 168 11
2007-03-06 2007-10-05 2007-11-21 -0.2342 183 150 33
2008-10-10 2008-10-13 2008-10-23 -0.2179 10 2 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -1.2 1.5 0.1 -0.4 -1.8 1.2 -0.9 -1.9 -4.5 7.9 -0.4 1.7 0.9
2008 -5 5.1 -7.5 -3.8 -0.7 0.1 -0.7 1.9 1.9 -10 24.2 -6.7 -5.1
2009 3.9 1 -3.1 0.1 -8.5 -4.3 -0.3 4 6.1 5.6 -2.5 2.6 3.7
2010 -1.8 -4.1 -1.8 6.2 5.6 1.6 -0.1 -7.5 -1 1.2 -4.2 2.6 -4
2011 -3.9 3.3 -0.9 0.3 5.9 -3.2 1.4 3.6 4.3 7.1 1 1.4 21.8
2012 -3.8 -0.9 0.5 -0.4 6.4 -6.8 1.7 -0.5 0.3 -2.2 0.9 -3.8 -9
2013 -2.2 0.4 3.2 3.7 1.1 -1.5 -2.7 2.9 -2.6 1.1 -0.1 -0.3 2.7
2014 1.5 0.8 -2.7 -0.2 1.3 -1.4 1.3 -0.8 1.9 -2.2 -1.5 1.4 -0.7
2015 1.4 0 1.2 -0.4 0.1 -0.6 0.6 4.6 0.7 0.3 -1.5 2.9 9.3
2016 -0.5 -0.4 -1.1 5 -0.9 -4.4 -0.7 0.8 1.7 0.8 2.5 0.1 2.6
2017 0.3 -0.3 -1.1 0 -1.7 0.6 -0.9 -1.1 -0.1 -0.4 4.7 0.5 0.4
2018 0.8 1.3 -3.4 0 -1.8 -0.3 -1.9 0.7 2.9 -4 0.7 -0.7 -5.8
2019 0.1 -1 -2.5 1.8 2.7 -0.2 3.4 0.1 3.8 -3.2 1.1 -0.8 5.3
2020 4.6 3.6 14.3 8.2 -1.7 2.7 1.3 -2.4 -2.6 2.8 -2.7 -0.2 29.9
2021 -3.5 -5.7 -0.6 NA NA NA NA NA NA NA NA NA -9.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-01-25 2253. SPY    142. -0.0117  -0.002    0.0045   0.0348    0.124    0.243    0.256 GLD    64.1 -4.20e-3   0.0289
2 2007-01-26 2259. SPY    142. -0.0007  -0.0046   0.01     0.031     0.122    0.227    0.252 GLD    64.1  6.00e-4   0.0175
3 2007-01-29 2217. SPY    142. -0.0008  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -5.10e-3   0.0167
4 2007-01-30 2186. SPY    143.  0.0052  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  7.10e-3  -0.0002
5 2007-01-31 2146. SPY    144.  0.0067  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  9.50e-3   0.0078
6 2007-02-01 2121. SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  6.00e-3   0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart